Using random numbers with GPUs

Question

I\'m investigating using nvidia GPUs for Monte-Carlo simulations. However, I would like to use the gsl random number generators and also a parallel random number generator such

Answer 1

The GSL manual recommends the Mersenne Twister.

The Mersenne Twister authors have a version for Nvidia GPUs. I looked into porting this to the R package gputools but found that I needed excessively large number of draws (millions, I think) before the combination of 'generate of GPU and make available to R' was faster than just drawing in R (using only the CPU).

It really is a computation / communication tradeoff.